Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0429
Annualized Std Dev 0.3094
Annualized Sharpe (Rf=0%) 0.1388

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.1560
Quartile 1 -0.0075
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0089
Maximum 0.1513
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0195
Skewness 0.0516
Kurtosis 10.2776

Downside Risk

Close
Semi Deviation 0.0139
Gain Deviation 0.0146
Loss Deviation 0.0153
Downside Deviation (MAR=210%) 0.0181
Downside Deviation (Rf=0%) 0.0137
Downside Deviation (0%) 0.0137
Maximum Drawdown 0.7567
Historical VaR (95%) -0.0283
Historical ES (95%) -0.0470
Modified VaR (95%) -0.0274
Modified ES (95%) -0.0317
From Trough To Depth Length To Trough Recovery
2007-06-18 2008-11-20 2017-10-03 -0.7567 2594 363 2231
2020-02-21 2020-03-23 2020-11-24 -0.4038 194 22 172
2018-03-13 2018-12-24 2020-01-09 -0.2506 461 199 262
2006-05-10 2006-06-13 2006-10-05 -0.1973 104 24 80
2007-02-08 2007-03-05 2007-06-15 -0.1216 89 17 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 1.6 0.4 -1.7 0.4 0 -2.2 -1.7 -0.5 -3.7
2007 1.2 -0.4 -0.9 -0.5 0.5 -1.4 -0.7 2 2.5 -3.7 1.5 0.7 0.6
2008 1 -5 8.1 4.1 -0.5 -0.3 0.1 -0.1 2.2 4.1 -15.6 4.4 0.3
2009 -2 -3.6 1.4 1.7 1.1 -0.1 -0.2 -4.3 -2.9 -4 0.5 -0.3 -12.3
2010 1.8 0.7 0.8 -1.8 -2.1 -0.7 -0.8 4 1.1 -0.5 2.6 -0.3 4.6
2011 2.1 -1.6 2.1 -0.2 -3.8 1.8 -0.4 -2.6 -4.6 -5.3 -0.6 -0.4 -13
2012 1.9 1.2 0.3 0.2 -2.9 2.3 -2.1 0.6 0.5 1.2 0.4 0.9 4.5
2013 1.4 -0.5 -1.2 -1.2 -1.5 1 1.8 -1.1 1.1 1.1 0 0.9 1.7
2014 -0.9 0.4 0.3 0.1 -0.4 0.5 -1.1 0.4 -1.1 1.7 -1 -0.5 -1.7
2015 -1.4 -0.7 -0.1 0.4 0 0.9 -0.7 -3.3 0.1 -1.4 1 -0.6 -5.5
2016 0 3.1 1.3 -0.9 0.3 -0.6 -0.4 -0.6 1.8 -0.6 2 0.2 5.8
2017 0.4 3.1 -0.2 0.6 1.5 -0.1 0.5 0.6 0.4 -0.7 0.8 -0.4 6.6
2018 1.9 -1.4 2.1 0.2 1.1 -0.8 0 0.1 0.2 0.6 0.7 1.1 5.9
2019 0.6 1.2 2.4 -0.9 -1.3 1 -1.5 0.6 -4 0.7 -0.2 0.1 -1.4
2020 -1.9 -3.1 -3.5 -2.6 1 0.2 0.1 0.1 0.1 -0.4 2 1 -7.1
2021 2.6 3.4 -0.7 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-05  51.0 SPY    133.  0.0088    0.008    0.0115   0.0495    0.128    0.411   0.0609 GLD    68.0  0.0076   0.0446
2 2006-05-08  51.1 SPY    132. -0.00120   0.015    0.0114   0.0455    0.130    0.417   0.0418 GLD    67.6 -0.0063   0.0368
3 2006-05-09  51.1 SPY    133.  0.002     0.0094   0.0238   0.0569    0.126    0.434   0.0457 GLD    69.7  0.0314   0.047 
4 2006-05-10  50.9 SPY    133. -0.0005    0.0127   0.0217   0.0468    0.137    0.414   0.0586 GLD    70.4  0.01     0.059 
5 2006-05-11  49.6 SPY    131. -0.0121   -0.0031   0.018    0.0359    0.117    0.380   0.0283 GLD    71.0  0.0092   0.0526
6 2006-05-12  48.7 SPY    129. -0.0131   -0.0248   0.0028   0.0205    0.115    0.365   0.0238 GLD    71.1  0.0013   0.046 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart